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Conjugate processes and the silumation of ruin problems
12 references·9 citing·42 second hop
Conjugate processes and the silumation of ruin problems (1985)Conjugate processes and the silumation of…An introduction to queueing theory (1993)An introduction to queueing t…Approximations for the probability of ruin within finite time (1984)Approximations for the probab…Introduction to Queueing Theory (1982)Introduction to Queueing Theo…Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue (1982)Conditioned limit theorems re…Corrected diffusion approximations in certain random walk problems (1979)Corrected diffusion approxima…Regenerative Simulation of Response Times in Networks of Queues (1978)Regenerative Simulation of Re…Limit theorems for periodic queues (1977)Limit theorems for periodic q…An Introduction to the Regenerative Method for Simulation Analysis (1977)An Introduction to the Regene…A class of approximations of ruin probabilities (1977)A class of approximations of …The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule (1976)The Stationary Distribution a…Simulating Stable Stochastic Systems, I: General Multiserver Queues (1974)Simulating Stable Stochastic …On the Ruin Problem of Collective Risk Theory (1961)On the Ruin Problem of Collec…Rare-Event Simulation for Many-Server Queues (2014)Rare-Event Simulation for Man…Ruin by dynamic contagion claims (2012)Ruin by dynamic contagion cla…State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)State-dependent importance sa…Rare event simulation for a slotted time M/G/s model (2009)Rare event simulation for a s…Fast simulation of rare events in queueing and reliability models (2005)Fast simulation of rare event…On Monte Carlo estimation of large deviations probabilities (1996)On Monte Carlo estimation of …Finding the Conjugate of Markov Fluid Processes (1995)Finding the Conjugate of Mark…Fast simulation of packet loss rates in a shared buffer communications switch (1995)Fast simulation of packet los…The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models (1992)The efficiency and heavy traf…The Biological Standardization of Insulin (1941)On the theory of queues with many servers (1955)The stability of a queue with non-independent inter-arrival and service times (1962)Simulating Stable Stochastic Systems, II: Markov Chains (1974)Discrete time methods for simulating continuous time Markov chains (1976)Diffusion approximations in collective risk theory (1969)Computational methods in risk theory: A matrix-algorithmic approach (1992)On Ultimate Ruin in a Delayed-Claims Risk Model (2005)Dividend maximization under consideration of the time value of ruin (2006)Some Limit Theorems in the Theory of Mass Service (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)Simulation of Ruin Probabilities for Subexponential Claims (1997)Ruin theory with compounding assets — a survey (1998)Investigation of waiting time problems by reduction to Markov processes (1955)Some Results for the Queue with Poisson Arrivals (1960)The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t) (1974)Ruin probabilities expressed in terms of storage processes (1988)Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality (1994)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)The Single Server Queue (1983)Risk processes analyzed as fluid queues (2004)Inequalities in the Theory of Queues (1970)The Single Server Queue. (1983)Busy period analysis, rare events and transient behavior in fluid flow models (1994)Moderate deviations for queues in critical loading (1999)Simple approximations of ruin probabilities (2000)A Proof for the Queuing Formula: L = λ W (1961)Open, Closed, and Mixed Networks of Queues with Different Classes of Customers (1975)Heavy-Traffic Limits for Queues with Many Exponential Servers (1981)Point Processes and Queues (1981)Stochastic Decompositions in the M/G/1 Queue with Generalized Vacations (1985)Queueing analysis: A foundation of performance evaluation (1995)Extensions of infinitesimal perturbation analysis (1988)The Asymptotic Validity of Sequential Stopping Rules for Stochastic Simulations (1992)A Method for Discrete Stochastic Optimization (1995)Martingales and insurance risk (1989)Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities (1998)Non-Gaussian OU based models and some of their uses in financial economics (2000)Queueing-blocking system with two arrival streams and guard channels (1988)Coping with Time‐Varying Demand When Setting Staffing Requirements for a Service System (2007)Peer-to-Peer Product Sharing: Implications for Ownership, Usage and Social Welfare in the Sharing Economy (2015)
this work references cited by second hop

References

  • 1993An introduction to queueing theory906 cited
  • 1982Introduction to Queueing Theory521 cited
  • 1977An Introduction to the Regenerative Method for Simulation Analysis170 cited
  • 1979Corrected diffusion approximations in certain random walk problems146 cited
  • 1976The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule125 cited
  • 1974Simulating Stable Stochastic Systems, I: General Multiserver Queues121 cited
  • 1984Approximations for the probability of ruin within finite time95 cited
  • 1977A class of approximations of ruin probabilities90 cited
  • 1961On the Ruin Problem of Collective Risk Theory83 cited
  • 1982Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue75 cited
  • 1978Regenerative Simulation of Response Times in Networks of Queues70 cited
  • 1977Limit theorems for periodic queues54 cited

Cited by

  • 2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited
  • 1996On Monte Carlo estimation of large deviations probabilities60 cited
  • 2012Ruin by dynamic contagion claims

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50 cited
  • 2005Fast simulation of rare events in queueing and reliability models41 cited
  • 1995Fast simulation of packet loss rates in a shared buffer communications switch33 cited
  • 1992The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models25 cited
  • 1995Finding the Conjugate of Markov Fluid Processes22 cited
  • 2009Rare event simulation for a slotted time M/G/s model20 cited
  • 2014Rare-Event Simulation for Many-Server Queues18 cited